The Metropolitan Police said the animal collapsed at about 9pm on Sunday and was given emergency care but died at the scene.
The force said it is too early to determine the cause of death and that there will be an investigation into what happened.
It came as 38 arrests were made by 7.30pm on Sunday, with alleged offences including drug possession, criminal damage and possession of an offensive weapon.
There were 10 arrests for assault and two for sexual assault.
Notting Hill Carnival is back after a two-year hiatus
Victoria Jones
Revellers descended on the streets to mark the first carnival since 2019.
The day kicked off with members of the Emancipated Run Crew – dressed in green in tribute to those who died at Grenfell – beginning the parade and marking the official launch of the Carnival.
Co-founder of the club Jules Stephenson said: “It (the atmosphere) is electric – everyone is so excited about carnival being back.”
Sunday, traditionally “family day”, saw bright and dazzling costumes as the carnival procession made its way through Ladbroke Grove.
Police officers assess the Notting Hill Carnival
Victoria Jones
Crowds of young children blowed whistles and danced down the streets with their parents in tow.
Millions are expected to attend over the course of the two-day festival, which has had a two-year hiatus due to the pandemic.
London Mayor Sadiq Khan said: “As a Londoner I’m really pleased carnival is back.”
He said it celebrates Caribbean culture, heritage, and history and there was a “pent up” demand for festivities this year.
He added: “We think it’s going to be the biggest and best ever.”
But Mr Khan also warned the cost-of-living crisis had affected the celebrations.
He added: “We are seeing those who want to have floats, those who want to have sound systems, pulling out because they can’t afford to pay their bills.”